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The case of Brownian motion: a note on Bachelier's contribution

✍ Scribed by Dimand, Robert W.

Book ID
120335106
Publisher
Cambridge University Press
Year
1993
Tongue
English
Weight
544 KB
Volume
26
Category
Article
ISSN
0007-0874

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A note on the distribution of integrals
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The purpose of this note is to identify an interesting and surprising duality between the equations governing the probability distribution and expected value functional of the stochastic process deΓΏned by At := t 0 exp{Zs} ds; t ΒΏ 0; where {Zs: s ΒΏ 0} is a one-dimensional Brownian motion with drift